Your circuit is wired correctly. And as Klaus mentions, if your DMM is set in the DC range, you will only read the average voltage of the sinusoid, which still is 2.5 volt.
What you need to do, if you don't have a oscilloscope, is to add a 0.01uf capacitor in series with the output, and read it with your DMM set to AC VOLTAGE.
If you don't have a 0.01 uF, you can use a 0.1 uF, but because a DMM's impedance is 10 Meg, the output will take many seconds to settle.